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arXiv · 1608.07839

Non-Linear Wavelet Regression and Branch & Bound Optimization for the Full Identification of Bivariate Operator Fractional Brownian Motion

Jordan Frecon·Gustavo Didier·Nelly Pustelnik·Patrice Abry
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Abstract

Self-similarity is widely considered the reference framework for modeling the scaling properties of real-world data. However, most theoretical studies and their practical use have remained univariate. Operator Fractional Brownian Motion (OfBm) was recently proposed as a multivariate model for self-similarity. Yet it has remained seldom used in applications because of serious issues that appear in the joint estimation of its numerous parameters. While the univariate fractional Brownian motion requires the estimation of two parameters only, its mere bivariate extension already involves 7 parameters which are very different in nature. The present contribution proposes a method for the full identification of bivariate OfBm (i.e., the joint estimation of all parameters) through an original formulation as a non-linear wavelet regression coupled with a custom-made Branch & Bound numerical scheme. The estimation performance (consistency and asymptotic normality) is mathematically established and numerically assessed by means of Monte Carlo experiments. The impact of the parameters defining OfBm on the estimation performance as well as the associated computational costs are also thoroughly investigated.

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Jordan Frecon, Gustavo Didier, Nelly Pustelnik, Patrice Abry. 2016-08-28. Non-Linear Wavelet Regression and Branch & Bound Optimization for the Full Identification of Bivariate Operator Fractional Brownian Motion. https://doi.org/10.1109/tsp.2016.2551695

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